Paul - I share your pain. Podcast producers typically limit the number of items in their podcast's RSS feed assumingly to protect themselves against lame podcast clients which might attempt to download ALL episodes of a particular podcast. But it certainly is annoying because if the episode(s) you want aren't in the RSS feed, you've got to download them manually and then make a separate playlist for them which is separate from that podcast's list in iTunes.
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MattOct 14 '09 at 21:02

Here's a way to do it right from the podcasts section of your library: right-click/secondary click on the podcast and select "Show all available episodes". It will list all of the previous episodes. From there, you can click "get" to download separate episodes, or "get all" to download all of the episodes.

Many Podcasts have their own website as well. If you can find the website, then they likely have an RSS Feed that you can add into itunes rather than the link from iTunes store. In most cases this will get you the older podcasts.

Updated: Also some podcasts will have enchanced versions of their podcasts with pictures/video or alternate feeds where maybe a subset of the podcasts is of interest. Manager-Tools is a good example. Itunes only shows a subset of the episodes. Their website has an RSS feed with all of the episodes, and a "Basics" feed with a subset of the episodes that deliver the core of their philsophy.

I subscribed to a podcast, but I don't
see all the episodes—only the latest.
How come? iTunes will only display the
podcast episodes that are included in
the podcast feed. Many podcasts have
the older episodes archived on the
web. Check the podcast hosting site to
see if older episodes are available.